How to remove sub surf on z axis?
No you cannot, subsurf applies to the whole mesh evenly in all directions.
What you need is to learn how to use what are generally called "control loops". 

Control loops are extra edges you add to your geometry to keep subdivision surface from rounding out parts of the mesh you don't want to be smooth or curved. You can add them using Ctrl + R



Also consider a simpler method using the screw modifier since you are creating a simple revolution geometry